Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.
My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a modelfree way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...

Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter's focal point is the measurement of the premium for jump risks in index option markets. The second chapter is devoted to non parametric measurement of pricing kernel dispersion. The third chapter contributes to the literature on latent state variable recovery in...

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO010.
My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jumpdiffusion models with matrixvalued state spaces. The first chapter proposes a new threefactor model for index option pricing. A core feature of the model are unspanned skewness and term structure effects, i.e., it is possible that the...

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO005.
My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing, namely heterogeneous beliefs about rare event risk and presentvalue models for predictability of market returns and dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability of a systemic disaster. I start from a...

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO003.
This thesis consists of two chapters. In the first chapter, I analyze the optimal allocation of wealth to cash, bonds, and stocks when the interest rate is stochastic and the stock index has a timevarying mean. I find that, under certain economic conditions, the investor may optimally increase investments in stocks and bonds at the same time, which is due to the dynamic trading policies and...

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO009.
This doctoral thesis studies the behavior of yields on government bonds. I focus on three aspects of the yield curve: (i) the link between bond yields and key macro quantities such as consumption growth, (ii) the process of expectations formation about the short term interest rate which, in most developed markets, is the main monetary policy instrument, and (iii) the behavior of interest rate...

Thèse de doctorat : Università della Svizzera italiana, 2010 ; 2010ECO008.
My dissertation aims at understanding the impact of uncertainty and disagreement on asset prices. It contains three main chapters. Chapter One gives a general introduction into the topic of partial information and heterogeneous beliefs. Chapter Two explains the link between credit spreads and the heterogeneous formation of expectations in an economy where agents with different perception of...

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO005.
This Thesis is structured in two Chapters, each aimed at contributing to the existing literature by exploring the effects of ambiguity aversion on two classical equilibrium asset pricing problems: the term structure of interest rates and twoagents equilibrium. In both cases, ambiguity aversion is modeled by means of a MaxMin expected utility representation that falls within the Recursive...

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO004.
The thesis consists of three chapters. In the first chapter we characterize the robustness of subsampling procedures by deriving a general formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust statistics. This instability...
